Collective2 Collective2
Featured Strategy Iberia Capital Strategy Followed by live capital $29,300 Hypothetical

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DataGlobe Forex

By DataGlobeHoldings

Forex · Started Aug 2007

hypothetical · Annual Return (Compounded)
2.8%
Max Drawdown
39.1%
Trades
108
Win Trades
70.4%
Profit Factor
1.50
Win Months
2.6%

About this strategy


Please visit our website at www.dataglobe.biz


The results certainly speak for themselves. DataGlobe Forex is one of five flagship advisory offerings: DataGlobe Forex, DataGlobe FX-II, Dataglobe Options Elite, DataGlobe Small Caps, and DataGlobe Currency Options. Subscribers to all five systems will achieve a perfect balance of diversification, opening the door to unprecedented profits.


Please Note:
DataGlobe Trading is comprised of a team of professional traders. As such, we are a 24x7 operation (during market hours). Our trade desk is always staffed and we continually monitor our target markets and open positions. Rest assured - we are not an amateur operation. We take our trading very seriously and place our own thousands on each signal we generate. While some trades will close relatively quickly with profit, others may require patience to develop. We are willing to close a trade for a loss if our market data warrants such measures. While losses will be experienced on occasion, we expect a win rate of ~90% over the long term.



Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20078.2-12.9-1.023.3-14.1-1.1
200834.0-26.041.2-9.6-11.5-4.416.932.40.00.00.00.065.6
20090.00.00.00.00.00.00.00.00.0-0.00.00.0-0.0
20100.00.00.00.00.00.0-0.00.00.00.00.0-0.00.0
20110.00.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began8/20/2007
Suggested Minimum Capital$100,000
Age232 months
What it tradesForex
# Trades108
# Profitable76
% Profitable70.4%
Avg trade duration4.1 days
Max peak-to-valley drawdown39.1%
drawdown periodJan 30, 2008 - Feb 26, 2008
Annual Return (Compounded)2.8%
Avg win$2,883
Avg loss$4,513

Ratios

W:L ratio1.52
Sharpe Ratio0.10
Sortino Ratio0.15
Calmar Ratio0.22

CORRELATION STATISTICS

Correlation to SP500-0.01
Return Percent SP500 (cumu) during strategy life428.4%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-361.0%

Return Statistics

Ann Return (w trading costs)2.8%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)3.0%

Slump

Current Slump as Pcnt Equity0.0%
Current Slump, time of slump as pcnt of strategy life0.8%

Instruments

Percent Trades Forex1.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss100.0%
Chance of 40% account loss6.7%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$4,513
Avg Win$2,883
# Winners76
Sum Trade PL (losers)$144,415
Sum Trade PL (winners)$219,125
Num Months Winners9
# Losers32
% Winners70.4%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table230

Frequency

Avg Position Time (mins)5945.22
Avg Position Time (hrs)99.09
Avg Trade Length4.10
Last Trade Ago6779

Regression

Alpha0.01
Beta-0.01
Treynor Index-0.49

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades5.86
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.05
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades8.17
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades955.91
MAE:PL (avg, all trades)63.36
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats11.31
MAE:PL - Winning Trades - this strat Percentile of All Strats99.02
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades313.44
Avg(MAE) / Avg(PL) - Losing trades-1.04
Hold-and-Hope Ratio0.00

RATIO STATISTICS

Mean0.12
SD0.28
Sharpe ratio (Glass type estimate)0.44
Sharpe ratio (Hedges UMVUE)0.43
df68
t1.05
p0.15
Lowerbound of 95% confidence interval for Sharpe Ratio-0.38
Upperbound of 95% confidence interval for Sharpe Ratio1.26
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.39
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.25
Sortino ratio1.07
Upside Potential Ratio1.89
Upside part of mean0.21
Downside part of mean-0.09
Upside SD0.25
Downside SD0.11
N nonnegative terms61
N negative terms8
N of observations69
Mean of predictor0.21
Mean of criterion0.12
SD of predictor0.27
SD of criterion0.28
Covariance-0.02
r-0.26
b (slope, estimate of beta)-0.26
a (intercept, estimate of alpha)0.18
Mean Square Error0.07
DF error67
t(b)-2.19
p(b)0.98
t(a)1.53
p(a)0.07
Lowerbound of 95% confidence interval for beta-0.50
Upperbound of 95% confidence interval for beta-0.02
Lowerbound of 95% confidence interval for alpha-0.05
Upperbound of 95% confidence interval for alpha0.41
Treynor index (mean / b)-0.46
Jensen alpha (a)0.18
Mean0.09
SD0.25
Sharpe ratio (Glass type estimate)0.35
Sharpe ratio (Hedges UMVUE)0.35
df68
t0.85
p0.20
Lowerbound of 95% confidence interval for Sharpe Ratio-0.47
Upperbound of 95% confidence interval for Sharpe Ratio1.17
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.47
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.17
Sortino ratio0.72
Upside Potential Ratio1.53
Upside part of mean0.19
Downside part of mean-0.10
Upside SD0.22
Downside SD0.12
N nonnegative terms61
N negative terms8
N of observations69
Mean of predictor0.17
Mean of criterion0.09
SD of predictor0.27
SD of criterion0.25
Covariance-0.02
r-0.25
b (slope, estimate of beta)-0.23
a (intercept, estimate of alpha)0.13
Mean Square Error0.06
DF error67
t(b)-2.12
p(b)0.98
t(a)1.24
p(a)0.11
Lowerbound of 95% confidence interval for beta-0.45
Upperbound of 95% confidence interval for beta-0.01
Lowerbound of 95% confidence interval for alpha-0.08
Upperbound of 95% confidence interval for alpha0.33
Treynor index (mean / b)-0.38
Jensen alpha (a)0.13
VaR(95%)0.11
Expected Shortfall on VaR0.13
VaR(95%)0.00
Expected Shortfall on VaR0.02
Mean0.38
SD0.79
Sharpe ratio (Glass type estimate)0.48
Sharpe ratio (Hedges UMVUE)0.48
df1517
t1.16
p0.48
Lowerbound of 95% confidence interval for Sharpe Ratio-0.33
Upperbound of 95% confidence interval for Sharpe Ratio1.30
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.33
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.30
Sortino ratio0.82
Upside Potential Ratio3.87
Upside part of mean1.79
Downside part of mean-1.41
Upside SD0.63
Downside SD0.46
N nonnegative terms1379
N negative terms139
N of observations1518
Mean of predictor0.42
Mean of criterion0.38
SD of predictor0.62
SD of criterion0.79
Covariance-0.10
r-0.21
b (slope, estimate of beta)-0.27
a (intercept, estimate of alpha)0.49
Mean Square Error0.59
DF error1516
t(b)-8.40
p(b)0.61
t(a)1.53
p(a)0.48
Lowerbound of 95% confidence interval for beta-0.33
Upperbound of 95% confidence interval for beta-0.20
Lowerbound of 95% confidence interval for alpha-0.14
Upperbound of 95% confidence interval for alpha1.12
Treynor index (mean / b)-1.42
Jensen alpha (a)0.49
Mean0.09
SD0.75
Sharpe ratio (Glass type estimate)0.12
Sharpe ratio (Hedges UMVUE)0.12
df1517
t0.28
p0.50
Lowerbound of 95% confidence interval for Sharpe Ratio-0.70
Upperbound of 95% confidence interval for Sharpe Ratio0.93
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.70
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.93
Sortino ratio0.17
Upside Potential Ratio3.15
Upside part of mean1.63
Downside part of mean-1.54
Upside SD0.55
Downside SD0.52
N nonnegative terms1379
N negative terms139
N of observations1518
Mean of predictor0.23
Mean of criterion0.09
SD of predictor0.62
SD of criterion0.75
Covariance-0.10
r-0.22
b (slope, estimate of beta)-0.27
a (intercept, estimate of alpha)0.15
Mean Square Error0.54
DF error1516
t(b)-8.66
p(b)0.61
t(a)0.49
p(a)0.49
Lowerbound of 95% confidence interval for beta-0.33
Upperbound of 95% confidence interval for beta-0.21
Lowerbound of 95% confidence interval for alpha-0.45
Upperbound of 95% confidence interval for alpha0.75
Treynor index (mean / b)-0.33
Jensen alpha (a)0.15
VaR(95%)0.07
Expected Shortfall on VaR0.09
VaR(95%)0.00
Expected Shortfall on VaR0.01
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.82
Mean of criterion0
SD of predictor0.67
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.60
Mean of criterion0
SD of predictor0.65
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.07
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
VaR(95%)0
Expected Shortfall on VaR0
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations69
Minimum0.82
Quartile 11
Median1
Quartile 31
Maximum1.47
Mean of quarter 10.97
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.07
Inter Quartile Range0
Number outliers low8
Percentage of outliers low0.12
Mean of outliers low0.93
Number of outliers high10
Percentage of outliers high0.14
Mean of outliers high1.12
Extreme Value Index (moments method)-34.46
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)-1.15
VaR(95%) (regression method)0.07
Expected Shortfall (regression method)0.11
Number of observations1518
Minimum0.68
Quartile 11
Median1
Quartile 31
Maximum1.66
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.03
Inter Quartile Range0
Number outliers low139
Percentage of outliers low0.09
Mean of outliers low0.94
Number of outliers high147
Percentage of outliers high0.10
Mean of outliers high1.07
Extreme Value Index (moments method)-0.50
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)-0.04
VaR(95%) (regression method)0.02
Expected Shortfall (regression method)0.06
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0

DRAW DOWN STATISTICS

Number of observations6
Minimum0.00
Quartile 10.00
Median0.07
Quartile 30.16
Maximum0.18
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30.14
Mean of quarter 40.17
Inter Quartile Range0.16
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations34
Minimum0.00
Quartile 10.00
Median0.00
Quartile 30.15
Maximum0.41
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30.03
Mean of quarter 40.30
Inter Quartile Range0.15
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high2
Percentage of outliers high0.06
Mean of outliers high0.40
Extreme Value Index (moments method)-1.13
VaR(95%) (moments method)0.32
Expected Shortfall (moments method)0.34
Extreme Value Index (regression method)-1.28
VaR(95%) (regression method)0.36
Expected Shortfall (regression method)0.38
Number of observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-384343904
Max Equity Drawdown (num days)27
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.12
Compounded annual return (geometric extrapolation)0.09
Calmar ratio (compounded annual return / max draw down)0.51
Compounded annual return / average of 25% largest draw downs0.53
Compounded annual return / Expected Shortfall lognormal0.70
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.11
Compounded annual return (geometric extrapolation)0.09
Calmar ratio (compounded annual return / max draw down)0.22
Compounded annual return / average of 25% largest draw downs0.31
Compounded annual return / Expected Shortfall lognormal1.00
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

Placed 284 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
AUD/USD short700Jan 28, 2008Aug 12, 2008$10,523
EUR/JPY short600Feb 12, 2008Mar 14, 2008$57
EUR/CHF short300Feb 15, 2008Feb 28, 2008$3,931
USD/JPY short600Jan 29, 2008Feb 28, 2008$57
EUR/USD long500Jan 15, 2008Feb 22, 2008$5,330
EUR/CAD short300Feb 15, 2008Feb 20, 2008($6,492)
EUR/AUD long300Feb 10, 2008Feb 13, 2008$2,137
GBP/JPY short300Feb 7, 2008Feb 7, 2008$3
AUD/JPY short300Feb 3, 2008Feb 5, 2008$19
EUR/JPY short300Feb 3, 2008Feb 5, 2008$19
GBP/JPY long300Jan 31, 2008Jan 31, 2008($9)
AUD/JPY short600Jan 28, 2008Jan 30, 2008$21
GBP/JPY long300Jan 29, 2008Jan 29, 2008($8)
USD/JPY long200Jan 23, 2008Jan 24, 2008$19
USD/CAD short300Jan 22, 2008Jan 22, 2008$1,929
NZD/USD short300Dec 18, 2007Jan 22, 2008$2,250
AUD/USD short600Dec 16, 2007Jan 22, 2008$4,500
USD/JPY long300Jan 18, 2008Jan 21, 2008($14)
USD/JPY long300Jan 17, 2008Jan 17, 2008($19)
GBP/JPY long300Jan 17, 2008Jan 17, 2008($10)
EUR/JPY short300Jan 13, 2008Jan 14, 2008$20
EUR/USD short300Jan 11, 2008Jan 14, 2008($2,400)
GBP/USD long200Jan 10, 2008Jan 10, 2008$1,600
EUR/USD short300Jan 8, 2008Jan 9, 2008$1,845
AUD/JPY short200Jan 4, 2008Jan 4, 2008$17
AUD/JPY short600Dec 16, 2007Jan 3, 2008$50
EUR/USD short300Dec 19, 2007Dec 21, 2007$827
GBP/JPY short400Dec 19, 2007Dec 19, 2007$17
GBP/JPY short250Dec 14, 2007Dec 14, 2007$7
GBP/JPY short500Dec 13, 2007Dec 13, 2007$4

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.